AIL Backtesting Suite

Portfolio Performance Report

Tickers: NVDA, QLYS, A, NSA, MCD, NKE, MBUU, TXRH, OGS

Period: 2010-01-01 to 2024-06-30

Download Portfolio Returns Download Asset Prices Download Asset Metrics

Final Value

$28,303,220.31

Total Return

2730.32%

Annualized Return

43.94%

Max Drawdown

52.18%

Sharpe Ratio

1.32

Sortino Ratio

1.85

Calmar Ratio

0.84

Volatility

31.24%

Average Daily Return

0.164%

Best Day

17.10%

Worst Day

-15.34%

Win Rate

55.15%

Recovery Time

153 trading days / 223 calendar days

Top Contributors (by total return * weight)

TickerWeightTotal ReturnAnnualized ReturnVolatilitySharpeSortinoAvg Daily ReturnContribution
NVDA11.11%22879.45%80.83%48.89%1.462.180.282%2542.16%
TXRH11.11%468.19%20.84%35.87%0.710.950.101%52.02%
NSA11.11%379.60%18.63%30.10%0.720.950.086%42.18%
MCD11.11%229.09%13.86%20.54%0.730.960.060%25.45%
A11.11%227.03%13.78%26.82%0.620.830.066%25.23%
QLYS11.11%172.24%11.53%41.27%0.480.570.078%19.14%
OGS11.11%95.70%7.59%26.51%0.410.510.043%10.63%
NKE11.11%66.77%5.73%30.15%0.340.450.040%7.42%
MBUU11.11%54.84%4.88%45.20%0.330.460.060%6.09%

Bottom Contributors

TickerWeightTotal ReturnAnnualized ReturnVolatilitySharpeSortinoAvg Daily ReturnContribution
MBUU11.11%54.84%4.88%45.20%0.330.460.060%6.09%
NKE11.11%66.77%5.73%30.15%0.340.450.040%7.42%
OGS11.11%95.70%7.59%26.51%0.410.510.043%10.63%
QLYS11.11%172.24%11.53%41.27%0.480.570.078%19.14%
A11.11%227.03%13.78%26.82%0.620.830.066%25.23%
MCD11.11%229.09%13.86%20.54%0.730.960.060%25.45%
NSA11.11%379.60%18.63%30.10%0.720.950.086%42.18%
TXRH11.11%468.19%20.84%35.87%0.710.950.101%52.02%
NVDA11.11%22879.45%80.83%48.89%1.462.180.282%2542.16%

Equity Curve

Drawdown

Daily Return Distribution

Rolling 6M Volatility

Rolling 6M Sharpe

Monthly Return Heatmap

Total Return by Asset

Asset Sharpe Ratios

Asset Return Correlation